def sendOrder(self, vtSymbol, direction, offset, price, volume, payup=0):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
return ''
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.direction = direction
req.offset = offset
req.volume = int(volume)
req.priceType = PRICETYPE_LIMITPRICE
if direction == DIRECTION_LONG:
req.price = price + payup * contract.priceTick
else:
req.price = price - payup * contract.priceTick
# 委托转换
reqList = self.mainEngine.convertOrderReq(req)
vtOrderIDList = []
for req in reqList:
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
vtOrderIDList.append(vtOrderID)
return vtOrderIDList
def onPlaceOrder(self, clientId, req):
"""委托"""
params = req['params']
s, e = params['security'].split('.')
contract = self.mainEngine.getContract(s)
if not contract:
vtOrderID = ''
error = [-1, u'委托失败，找不到合约%s' %params['security']]
else:
vor = VtOrderReq()
vor.symbol = s
vor.exchange = EXCHANGE_MAP[e]
vor.direction, vor.offset = ACTION_MAP[params['action']]
vor.price = float(params['price'])
vor.volume = int(params['size'])
vor.priceType = PRICETYPE_LIMITPRICE
vtOrderID = self.mainEngine.sendOrder(vor, contract.gatewayName)
error = [0, '']
self.server.send_rsp(clientId, req, vtOrderID, error)
self.writeLog(u'发出响应：%s' %vtOrderID)
def sendOrder(self, vtSymbol, direction, offset, price, volume, payup=0):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
return ''
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.direction = direction
req.offset = offset
req.volume = int(volume)
req.priceType = PRICETYPE_LIMITPRICE
if direction == DIRECTION_LONG:
req.price = price + payup * contract.priceTick
else:
req.price = price - payup * contract.priceTick
# 委托转换
reqList = self.mainEngine.convertOrderReq(req)
vtOrderIDList = []
for req in reqList:
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
vtOrderIDList.append(vtOrderID)
return vtOrderIDList
def onPlaceOrder(self, clientId, req):
"""委托"""
params = req['params']
s, e = params['security'].split('.')
contract = self.mainEngine.getContract(s)
if not contract:
vtOrderID = ''
error = [-1, u'委托失败，找不到合约%s' % params['security']]
else:
vor = VtOrderReq()
vor.symbol = s
vor.exchange = EXCHANGE_MAP[e]
vor.direction, vor.offset = ACTION_MAP[params['action']]
vor.price = float(params['price'])
vor.volume = int(params['size'])
vor.priceType = PRICETYPE_LIMITPRICE
vtOrderID = self.mainEngine.sendOrder(vor, contract.gatewayName)
error = [0, '']
self.server.send_rsp(clientId, req, vtOrderID, error)
self.writeLog(u'发出响应：%s' % vtOrderID)
def post(self):
"""发单"""
args = self.postParser.parse_args()
token = args['token']
if token != TOKEN:
return {'result_code':'error','message':'token error'}
print(args)
vtSymbol = args['vtSymbol']
price = args['price']
volume = args['volume']
priceType = args['priceType']
direction = args['direction']
offset = args['offset']
contract = me.getContract(vtSymbol)
if not contract:
return {'result_code':'error','message':'contract error'}
priceType_map = {'PRICETYPE_LIMITPRICE' : u'限价','PRICETYPE_MARKETPRICE' : u'市价','PRICETYPE_FAK' : u'FAK','PRICETYPE_FOK' : u'FOK'}
direction_map = {'DIRECTION_LONG' : u'多','DIRECTION_SHORT' : u'空'}
offset_map = {'OFFSET_OPEN' : u'开仓', 'OFFSET_CLOSE' : u'平仓','OFFSET_CLOSETODAY' : u'平今','OFFSET_CLOSEYESTERDAY' : u'平昨'}
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.price = float(price)
req.volume = int(volume)
req.priceType = priceType_map[ priceType ]
req.direction = direction_map[ direction ]
req.offset = offset_map[ offset ]
vtOrderID = me.sendOrder(req, contract.gatewayName)
return {'result_code':'success','data':vtOrderID}
def sendOrder(self, algo, vtSymbol, direction, price, volume,
priceType=None, offset=None):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
self.writeLog(u'%s委托下单失败，找不到合约：%s' %(algo.algoName, vtSymbol))
req = VtOrderReq()
req.vtSymbol = vtSymbol
req.symbol = contract.symbol
req.exchange = contract.exchange
req.direction = direction
req.offset = OFFSET_CLOSETODAY
req.price = price
req.volume = volume
if priceType:
req.priceType = priceType
else:
req.priceType = PRICETYPE_LIMITPRICE
if offset:
req.offset = offset
else:
req.offset = OFFSET_OPEN
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
self.orderAlgoDict[vtOrderID] = algo
return vtOrderID
def fastTrade(self, symbol, direction, offset, price, volume):
"""封装下单函数"""
contract = self.mainEngine.getContract(symbol)
if not contract:
return
req = VtOrderReq()
req.symbol = symbol
req.exchange = contract.exchange
req.direction = direction
req.offset = offset
req.price = price
req.volume = volume
req.priceType = PRICETYPE_LIMITPRICE
self.mainEngine.sendOrder(req, contract.gatewayName)
def fastTrade(self, symbol, direction, offset, price, volume):
"""封装下单函数"""
contract = self.mainEngine.getContract(symbol)
if not contract:
return
req = VtOrderReq()
req.symbol = symbol
req.exchange = contract.exchange
req.direction = direction
req.offset = offset
req.price = price
req.volume = volume
req.priceType = PRICETYPE_LIMITPRICE
self.mainEngine.sendOrder(req, contract.gatewayName)
def sendOrder(self, vtSymbol, direction, offset, price, volume):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
return ''
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = vtSymbol
req.price = price
req.volume = volume
req.direction = direction
req.offset = offset
req.priceType = PRICETYPE_LIMITPRICE
return self.mainEngine.sendOrder(req, contract.gatewayName)
def sendOrder(self, vtSymbol, direction, offset, price, volume):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
return ''
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = vtSymbol
req.price = price
req.volume = volume
req.direction = direction
req.offset = offset
req.priceType = PRICETYPE_LIMITPRICE
return self.mainEngine.sendOrder(req, contract.gatewayName)
def sendOrder(self, algo, vtSymbol, direction, price, volume):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
self.writeLog(u'%s委托下单失败，找不到合约：%s' % (algo.algoName, vtSymbol))
req = VtOrderReq()
req.vtSymbol = vtSymbol
req.symbol = contract.symbol
req.exchange = contract.exchange
req.direction = direction
req.priceType = PRICETYPE_LIMITPRICE
req.offset = OFFSET_CLOSETODAY
req.price = price
req.volume = volume
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
return vtOrderID
def sendOrder(self,
algo,
vtSymbol,
direction,
price,
volume,
priceType=None,
offset=None):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
self.writeLog(u'%s委托下单失败，找不到合约：%s' % (algo.algoName, vtSymbol))
vtSymbol = '.'.join([contract.symbol, contract.exchange])
req = VtOrderReq()
req.vtSymbol = vtSymbol
req.symbol = contract.symbol
req.exchange = contract.exchange
req.direction = direction
req.offset = OFFSET_CLOSETODAY
req.price = price
req.volume = volume
if priceType:
req.priceType = priceType
else:
req.priceType = PRICETYPE_LIMITPRICE
if offset:
req.offset = offset
else:
req.offset = OFFSET_OPEN
strData = 'symbol %s exchange %s price %.2f volume %d direction %s offset %s vtSymbol %s gatewayName %s'\
%(req.symbol,req.exchange,req.price,req.volume,req.direction,req.offset,req.vtSymbol,contract.gatewayName)
print 'currency productClass ', req.currency, req.productClass
# print 'sendOrder req:'
# print strData
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
self.orderAlgoDict[vtOrderID] = algo
return vtOrderID
def sendOrder(self,
algo,
vtSymbol,
direction,
price,
volume,
priceType=None,
offset=None):
logger.info(f"{algo.algoName}")
print(f"进入发单")
print(vtSymbol)
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
self.writeLog(u'%s委托下单失败，找不到合约：%s' % (algo.algoName, vtSymbol))
req = VtOrderReq()
req.vtSymbol = vtSymbol
req.symbol = contract.symbol
req.exchange = contract.exchange
req.direction = direction
req.offset = OFFSET_CLOSETODAY
req.price = price
req.volume = volume
if priceType:
req.priceType = priceType
else:
req.priceType = PRICETYPE_LIMITPRICE
if offset:
req.offset = offset
else:
req.offset = OFFSET_OPEN
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
self.orderAlgoDict[vtOrderID] = algo
logger.info(f"{vtOrderID}")
return vtOrderID
def newOrder(self, vtSymbol):
""""""
for vtPositionName in self.targetDict.keys():
if vtSymbol not in vtPositionName:
continue
pos = self.posDict[vtPositionName]
target = self.targetDict[vtPositionName]
if pos == target:
continue
contract = self.mainEngine.getContract(vtSymbol)
tick = self.mainEngine.getTick(vtSymbol)
if not tick:
return
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.priceType = PRICETYPE_LIMITPRICE
req.volume = abs(target - pos)
# Open position
if target > pos:
req.offset = OFFSET_OPEN
if DIRECTION_LONG in vtPositionName:
req.direction = DIRECTION_LONG
if tick.upperLimit:
req.price = tick.upperLimit
else:
req.price = tick.askPrice1
elif DIRECTION_SHORT in vtPositionName:
req.direction = DIRECTION_SHORT
if tick.lowerLimit:
req.price = tick.lowerLimit
else:
req.price = tick.bidPrice1
self.mainEngine.sendOrder(req, contract.gatewayName)
# Close position
elif target < pos:
req.offset = OFFSET_CLOSE
if DIRECTION_LONG in vtPositionName:
req.direction = DIRECTION_SHORT
if tick.upperLimit:
req.price = tick.upperLimit
else:
req.price = tick.askPrice1
elif DIRECTION_SHORT in vtPositionName:
req.direction = DIRECTION_LONG
if tick.lowerLimit:
req.price = tick.lowerLimit
else:
req.price = tick.bidPrice1
# Use auto-convert for solving today/yesterday position problem
reqList = self.mainEngine.convertOrderReq(req)
for convertedReq in reqList:
self.mainEngine.sendOrder(convertedReq,
contract.gatewayName)
# Write log
msg = u'发出%s委托 %s%s %s@%s' % (vtSymbol, req.direction, req.offset,
req.price, req.volume)
self.writeLog(msg)
def newOrder(self, vtSymbol):
""""""
for vtPositionName in self.targetDict.keys():
if vtSymbol not in vtPositionName:
continue
pos = self.posDict[vtPositionName]
target = self.targetDict[vtPositionName]
if pos == target:
continue
contract = self.mainEngine.getContract(vtSymbol)
tick = self.mainEngine.getTick(vtSymbol)
if not tick:
return
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.priceType = PRICETYPE_LIMITPRICE
req.volume = abs(target - pos)
# Open position
if target > pos:
req.offset = OFFSET_OPEN
if DIRECTION_LONG in vtPositionName:
req.direction = DIRECTION_LONG
if tick.upperLimit:
req.price = tick.upperLimit
else:
req.price = tick.askPrice1
elif DIRECTION_SHORT in vtPositionName:
req.direction = DIRECTION_SHORT
if tick.lowerLimit:
req.price = tick.lowerLimit
else:
req.price = tick.bidPrice1
self.mainEngine.sendOrder(req, contract.gatewayName)
# Close position
elif target < pos:
req.offset = OFFSET_CLOSE
if DIRECTION_LONG in vtPositionName:
req.direction = DIRECTION_SHORT
if tick.upperLimit:
req.price = tick.upperLimit
else:
req.price = tick.askPrice1
elif DIRECTION_SHORT in vtPositionName:
req.direction = DIRECTION_LONG
if tick.lowerLimit:
req.price = tick.lowerLimit
else:
req.price = tick.bidPrice1
# Use auto-convert for solving today/yesterday position problem
reqList = self.mainEngine.convertOrderReq(req)
for convertedReq in reqList:
self.mainEngine.sendOrder(convertedReq, contract.gatewayName)
# Write log
msg = u'发出%s委托 %s%s %s@%s' %(vtSymbol, req.direction, req.offset,
req.price, req.volume)
self.writeLog(msg)